Inflation wired up to Excel (working example)

cetusfinance · May 25, 2023 · 6dead1d · 6dead1d
1 parent dbfb9b6
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Showing 13 changed files with 160 additions and 18 deletions.
diff --git a/clients/Qwack.Excel.Next/Curves/IRCurveFunctions.cs b/clients/Qwack.Excel.Next/Curves/IRCurveFunctions.cs
@@ -217,7 +217,8 @@ public static object CreateFundingModel(
             [ExcelArgument(Description = "Funding instrument collection")] string FundingInstrumentCollection,
             [ExcelArgument(Description = "Curve to solve stage mappings")] object SolveStages,
             [ExcelArgument(Description = "Fx matrix object")] object FxMatrix,
-            [ExcelArgument(Description = "Fx vol surfaces")] object FxVolSurfaces)
+            [ExcelArgument(Description = "Fx vol surfaces")] object FxVolSurfaces,
+            [ExcelArgument(Description = "Fixing dictionaries")] object[] Fixings)
         {
             return ExcelHelper.Execute(_logger, () =>
             {
@@ -251,9 +252,13 @@ public static object CreateFundingModel(
                         }
                     }
                 }
+                var fixings = Fixings.GetAnyFromCache<IFixingDictionary>();
 
                 var model = new FundingModel(BuildDate, emptyCurves.Values.ToArray(), ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
 
+                foreach (var f in fixings)
+                    model.AddFixingDictionary(f.Name, f);
+
                 if (!(FxMatrix is ExcelMissing))
                     model.SetupFx(fxMatrix);
 

diff --git a/clients/Qwack.Excel.Next/Curves/InflationCurveFunctions.cs b/clients/Qwack.Excel.Next/Curves/InflationCurveFunctions.cs
@@ -62,5 +62,27 @@ public static object CreateCPICurveFromForecasts(
                 return ObjectName + '¬' + cache.GetObject(ObjectName).Version;
             });
         }
+
+        [ExcelFunction(Description = "Gets a CPI forecast from a curve", Category = CategoryNames.Curves, Name = CategoryNames.Curves + "_" + nameof(GetCpiForecast), IsThreadSafe = false)]
+        public static object GetCpiForecast(
+        [ExcelArgument(Description = "Curve object name")] string ObjectName,
+        [ExcelArgument(Description = "Fixing Date")] DateTime FixingDate,
+        [ExcelArgument(Description = "Fixing lag in months")] int LagInMonths)
+        {
+            return ExcelHelper.Execute(_logger, () =>
+            {
+                if (ContainerStores.GetObjectCache<IIrCurve>().TryGetObject(ObjectName, out var curve))
+                {
+                    if (curve.Value is CPICurve cpi)
+                    {
+                        return cpi.GetForecast(FixingDate, LagInMonths);
+                    }
+
+                    return $"Curve {ObjectName} is not a CPI Curve";
+                }
+
+                return $"CPI curve {ObjectName} not found in cache";
+            });
+        }
     }
 }
diff --git a/clients/Qwack.Excel.Next/Instruments/FundingInstrumentFunctions.cs b/clients/Qwack.Excel.Next/Instruments/FundingInstrumentFunctions.cs
@@ -528,6 +528,7 @@ public static object CreateFundingInstrumentCollection(
                 var loanDepos = Instruments.GetAnyFromCache<FixedRateLoanDeposit>();
                 var ctgoSwaps = Instruments.GetAnyFromCache<ContangoSwap>();
                 var flrDepos = Instruments.GetAnyFromCache<FloatingRateLoanDepo>();
+                var infSwaps = Instruments.GetAnyFromCache<InflationPerformanceSwap>();
 
                 //allows merging of FICs into portfolios
                 var ficInstruments = Instruments.GetAnyFromCache<FundingInstrumentCollection>()
@@ -546,6 +547,7 @@ public static object CreateFundingInstrumentCollection(
                 fic.AddRange(loanDepos);
                 fic.AddRange(ctgoSwaps);
                 fic.AddRange(flrDepos);
+                fic.AddRange(infSwaps);
 
                 return ExcelHelper.PushToCache(fic, ObjectName);
             });

diff --git a/clients/Qwack.Excel.Next/Instruments/InstrumentFunctions.cs b/clients/Qwack.Excel.Next/Instruments/InstrumentFunctions.cs
@@ -1444,6 +1444,9 @@ public static Portfolio GetPortfolio(object[,] Instruments)
             var dntOpts = Instruments.GetAnyFromCache<DoubleNoTouchOption>();
             var fltDepos = Instruments.GetAnyFromCache<FloatingRateLoanDepo>();
 
+            var infSwaps = Instruments.GetAnyFromCache<InflationPerformanceSwap>();
+            var infSwapsB = Instruments.GetAnyFromCache<InflationSwap>();
+
             //allows merging of FICs into portfolios
             var ficInstruments = Instruments.GetAnyFromCache<FundingInstrumentCollection>()
                 .SelectMany(s => s);
@@ -1485,6 +1488,10 @@ public static Portfolio GetPortfolio(object[,] Instruments)
             pf.Instruments.AddRange(dntOpts);
             pf.Instruments.AddRange(fltDepos);
 
+            pf.Instruments.AddRange(infSwaps);
+            pf.Instruments.AddRange(infSwapsB);
+
+
             return pf;
         }
     }

diff --git a/examples/Qwack - YeildCurveExample (Frozen Data).xlsx b/examples/Qwack - YeildCurveExample (Frozen Data).xlsx
diff --git a/src/Qwack.Core/Curves/CPICurve.cs b/src/Qwack.Core/Curves/CPICurve.cs
@@ -17,7 +17,7 @@ public CPICurve() { }
         public CPICurve(DateTime buildDate, DateTime[] pillars, double[] cpiRates, InflationIndex inflationIndex) 
         {
             BuildDate = buildDate;
-            Pillars = pillars;
+            PillarDates = pillars;
             CpiRates = cpiRates;
             InflationIndex = inflationIndex;
             Basis = InflationIndex.DayCountBasis;
@@ -28,7 +28,7 @@ public CPICurve(DateTime buildDate, DateTime[] pillars, double[] cpiRates, Infla
         public CPICurve(DateTime buildDate, DateTime[] pillars, double[] cpiRates, DayCountBasis cpiBasis, Frequency cpiFixingLag, Calendar cpiCalendar)
         {
             BuildDate = buildDate;
-            Pillars = pillars;
+            PillarDates = pillars;
             CpiRates = cpiRates;
             InflationIndex = new InflationIndex
             {
@@ -47,9 +47,9 @@ private void BuildInterpolator()
         {
             var allCpiPoints = new Dictionary<DateTime, double>();
 
-            for (var i = 0; i < Pillars.Length; i++)
+            for (var i = 0; i < PillarDates.Length; i++)
             {
-                allCpiPoints[Pillars[i]] = CpiRates[i];
+                allCpiPoints[PillarDates[i]] = CpiRates[i];
             }
             var x = allCpiPoints.OrderBy(x => x.Key).Select(x => x.Key.ToOADate()).ToArray();
             var y = allCpiPoints.OrderBy(x => x.Key).Select(x => x.Value).ToArray();
@@ -63,10 +63,10 @@ private void BuildInterpolator()
 
         public string Name { get; set; }
 
-        public DateTime[] Pillars { get; set; } = Array.Empty<DateTime>();
+        public DateTime[] PillarDates { get; set; } = Array.Empty<DateTime>();
         public double[] CpiRates { get; set; } = Array.Empty<double>();
 
-        public int NumberOfPillars => Pillars.Length;
+        public int NumberOfPillars => PillarDates.Length;
 
         public InflationIndex InflationIndex { get; set; }
 
@@ -85,14 +85,14 @@ public IIrCurve BumpRate(int pillarIx, double delta, bool mutate)
             }
             else
             {
-                return new CPICurve(BuildDate, Pillars, CpiRates.Select((x, ix) => ix == pillarIx ? x + delta : x).ToArray(), InflationIndex);
+                return new CPICurve(BuildDate, PillarDates, CpiRates.Select((x, ix) => ix == pillarIx ? x + delta : x).ToArray(), InflationIndex);
             }
         }
         public IIrCurve BumpRateFlat(double delta, bool mutate)
         {
             if (mutate)
             {
-                for (var i = 0; i < Pillars.Length; i++)
+                for (var i = 0; i < PillarDates.Length; i++)
                 {
                     CpiRates[i] += delta;
                 }
@@ -101,7 +101,7 @@ public IIrCurve BumpRateFlat(double delta, bool mutate)
             }
             else
             {
-                return new CPICurve(BuildDate, Pillars, CpiRates.Select(x => x + delta).ToArray(), InflationIndex);
+                return new CPICurve(BuildDate, PillarDates, CpiRates.Select(x => x + delta).ToArray(), InflationIndex);
             }
         }
         public Dictionary<DateTime, IIrCurve> BumpScenarios(double delta, DateTime lastSensitivityDate) => throw new NotImplementedException();
@@ -141,7 +141,7 @@ public IIrCurve SetRate(int pillarIx, double rate, bool mutate)
             }
             else
             {
-                return new CPICurve(BuildDate, Pillars, CpiRates.Select((x, ix) => ix == pillarIx ? rate : x).ToArray(), InflationIndex);
+                return new CPICurve(BuildDate, PillarDates, CpiRates.Select((x, ix) => ix == pillarIx ? rate : x).ToArray(), InflationIndex);
             }
         }
 

diff --git a/src/Qwack.Core/Curves/IIrCurve.cs b/src/Qwack.Core/Curves/IIrCurve.cs
@@ -27,7 +27,7 @@ public interface IIrCurve
         IIrCurve RebaseDate(DateTime newAnchorDate);
 
         int SolveStage { get; set; }
-
         string CollateralSpec { get; set; }
+        DateTime[] PillarDates { get; }
     }
 }
diff --git a/src/Qwack.Core/Instruments/Funding/InflationPerformanceSwap.cs b/src/Qwack.Core/Instruments/Funding/InflationPerformanceSwap.cs
@@ -57,7 +57,16 @@ public InflationPerformanceSwap(DateTime startDate, Frequency swapTenor, Inflati
         public string ForecastCurveCpi { get; set; }
         public string DiscountCurve { get; set; }
         public string SolveCurve { get; set; }
-        public DateTime PillarDate { get; set; }
+
+        private DateTime? _pillarDate;
+        public DateTime PillarDate
+        {
+            get => _pillarDate ?? EndDate;
+            set
+            {
+                _pillarDate = value;
+            }
+        }
         public string TradeId { get; set; }
         public string Counterparty { get; set; }
         public InflationIndex RateIndex { get; set; }
@@ -169,15 +178,15 @@ public List<CashFlow> ExpectedCashFlows(IAssetFxModel model)
 
             if (InitialFixing == 0)
             {
-                if (!model.TryGetFixingDictionary(ForecastCurveCpi, out var fixingDictionary))
+                if (!model.FundingModel.TryGetFixingDictionary(ForecastCurveCpi, out var fixingDictionary))
                     throw new Exception($"Fixing dictionary not found for inflation index {ForecastCurveCpi}");
 
                 InitialFixing = InflationUtils.InterpFixing(StartDate, fixingDictionary, RateIndex.FixingLag.PeriodCount);
             }
 
             var forecast = (forecastCurveCpi as CPICurve).GetForecast(EndDate, RateIndex.FixingLag.PeriodCount);
 
-            var cpiPerf = forecast / InitialFixing;
+            var cpiPerf = forecast / InitialFixing - 1;
 
             var cpiLegFv = cpiPerf * Notional * (SwapType == SwapPayReceiveType.Payer ? 1.0 : -1.0);
             var fixedLegFv = FixedFlow;

diff --git a/src/Qwack.Models/Calibrators/NewtonRaphsonMultiCurveSolverStaged.cs b/src/Qwack.Models/Calibrators/NewtonRaphsonMultiCurveSolverStaged.cs
@@ -58,7 +58,7 @@ public void Solve(IFundingModel fundingModel, FundingInstrumentCollection instru
                             var points = insForCurve.ToDictionary(x => x.PillarDate, x => x.SuggestPillarValue(fundingModel));
                             for (var i = 0; i < kv.Value.NumberOfPillars; i++)
                             {
-                                kv.Value.SetRate(i, points[(kv.Value as IrCurve).PillarDates[i]], true);
+                                kv.Value.SetRate(i, points[kv.Value.PillarDates[i]], true);
                             }
                         }
                     }

diff --git a/src/Qwack.Models/Models/AssetProductEx.cs b/src/Qwack.Models/Models/AssetProductEx.cs
@@ -1254,6 +1254,8 @@ public static string TradeType(this IInstrument ins)
                 OISFuture => "OISFuture",
                 IrSwap => "IRSwap",
                 IrBasisSwap => "IRBasisSwap",
+                InflationPerformanceSwap => "InfPerfSwap",
+                InflationSwap => "InfSwap",
                 CashWrapper wrapper => TradeType(wrapper.UnderlyingInstrument),
                 _ => throw new Exception($"Unable to handle product of type {ins.GetType()}"),
             };

diff --git a/src/Qwack.Models/Models/FundingModel.cs b/src/Qwack.Models/Models/FundingModel.cs
@@ -47,6 +47,7 @@ public FundingModel(TO_FundingModel transportObject, ICurrencyProvider currencyP
         {
             if (transportObject.VolSurfaces != null)
                 VolSurfaces = transportObject.VolSurfaces.ToDictionary(x => x.Key, x => x.Value.GetVolSurface(currencyProvider));
+            _fixings = transportObject.Fixings?.ToDictionary(x => x.Key, x => (IFixingDictionary)new FixingDictionary(x.Value)) ?? new Dictionary<string, IFixingDictionary>();
             SetupFx(new FxMatrix(transportObject.FxMatrix, currencyProvider, calendarProvider));
         }
 
@@ -138,8 +139,12 @@ public IFundingModel Clone()
             var returnValue = new FundingModel(BuildDate, Curves.Values.ToArray(), _currencyProvider, _calendarProvider)
             {
                 FxMatrix = FxMatrix,
-                VolSurfaces = VolSurfaces
+                VolSurfaces = VolSurfaces,
             };
+
+            foreach (var kv in _fixings)
+                returnValue.AddFixingDictionary(kv.Key, kv.Value);
+
             return returnValue;
         }
 
@@ -152,6 +157,10 @@ public IFundingModel DeepClone(DateTime? newBuildDate = null)
 
             if (FxMatrix != null)
                 returnValue.SetupFx(FxMatrix.Clone());
+
+            foreach (var kv in _fixings)
+                returnValue.AddFixingDictionary(kv.Key, kv.Value);
+
             return returnValue;
         }
 
@@ -287,7 +296,8 @@ public TO_FundingModel GetTransportObject() =>
                 BuildDate = BuildDate,
                 VolSurfaces = VolSurfaces.ToDictionary(x => x.Key, x => x.Value.GetTransportObject()),
                 Curves = Curves.ToDictionary(x => x.Key, x => (x.Value as IrCurve).GetTransportObject()),
-                FxMatrix = ((FxMatrix)FxMatrix).GetTransportObject()
+                FxMatrix = ((FxMatrix)FxMatrix).GetTransportObject(),
+                Fixings = _fixings?.ToDictionary(x => x.Key, x => x.Value.GetTransportObject()),
             };
     }
 

diff --git a/src/Qwack.Transport/TransportObjects/MarketData/Models/TO_FundingModel.cs b/src/Qwack.Transport/TransportObjects/MarketData/Models/TO_FundingModel.cs
@@ -17,6 +17,8 @@ public class TO_FundingModel
         public DateTime BuildDate { get; set; }
         [ProtoMember(7)]
         public TO_FxMatrix FxMatrix { get; set; }
+        [ProtoMember(8)]
+        public Dictionary<string, TO_FixingDictionary> Fixings { get; set; }
 
     }
 }
diff --git a/test/Qwack.Core.Tests/Inflation/InflationCurveFacts.cs b/test/Qwack.Core.Tests/Inflation/InflationCurveFacts.cs
@@ -82,6 +82,89 @@ public void TestInflationCurve()
             Assert.DoesNotContain(rates, double.IsNaN);
         }
 
+        [Fact]
+        public void TestInflationCurve2()
+        {
+            var vd = new DateTime(2023, 03, 01);
+            var usd = TestProviderHelper.CurrencyProvider.GetCurrencySafe("USD");
+            var usdIrCurve = new ConstantRateIrCurve(0.05, vd, "USD.CURVE", usd)
+            {
+                SolveStage = -1,
+            };
+
+            var infIx = new InflationIndex
+            {
+                Currency = usd,
+                DayCountBasis = DayCountBasis.Act360,
+                DayCountBasisFixed = DayCountBasis.Act360,
+                FixingInterpolation = Interpolator1DType.Linear,
+                FixingLag = 1.Months(),
+                ResetFrequency = 1.Years()
+            };
+
+            var infSwap6m = new InflationPerformanceSwap(vd, 6.Months(), infIx, 0.045, 1e6, SwapPayReceiveType.Pay, "USD.CPI", "USD.CURVE")
+            {
+                SolveCurve = "USD.CPI"
+            };
+            var infSwap1y = new InflationPerformanceSwap(vd, 1.Years(), infIx, 0.05, 1e6, SwapPayReceiveType.Pay, "USD.CPI", "USD.CURVE")
+            {
+                SolveCurve = "USD.CPI"
+            };
+            var infSwap2y = new InflationPerformanceSwap(vd, 2.Years(), infIx, 0.055, 1e6, SwapPayReceiveType.Pay, "USD.CPI", "USD.CURVE")
+            {
+                SolveCurve = "USD.CPI"
+            };
+            var infSwap3y = new InflationPerformanceSwap(vd, 3.Years(), infIx, 0.06, 1e6, SwapPayReceiveType.Pay, "USD.CPI", "USD.CURVE")
+            {
+                SolveCurve = "USD.CPI"
+            };
+            var infSwap5y = new InflationPerformanceSwap(vd, 5.Years(), infIx, 0.08, 1e6, SwapPayReceiveType.Pay, "USD.CPI", "USD.CURVE")
+            {
+                SolveCurve = "USD.CPI"
+            };
+
+
+            var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider)
+            {
+                infSwap6m,
+                infSwap1y,
+                infSwap2y,
+                infSwap3y,
+                infSwap5y,
+            };
+
+            var curves = fic.ImplyContainedCurves(vd, Interpolator1DType.Linear);
+            curves.Add("USD.CURVE",usdIrCurve);
+
+            var fixings = new Dictionary<DateTime, double>()
+            {
+                { vd.AddMonths(-1), 110 },
+                { vd.AddMonths(-2), 100 },
+            };
+
+            var pillars = new[] { vd.AddYears(1), vd.AddYears(2) };
+            var rates = new[] { 120.0, 121.0 };
+
+            var model = new FundingModel(vd, curves.Values.ToArray(), TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
+            model.AddFixingDictionary("USD.CPI", new FixingDictionary(fixings));
+
+            var S = new NewtonRaphsonMultiCurveSolverStaged
+            {
+                JacobianBump = 0.01,
+                Tollerance = 0.00000001,
+                MaxItterations = 100,
+            };
+
+            S.Solve(model, fic);
+
+            var cpiCurve = curves["USD.CPI"] as CPICurve;
+            Assert.DoesNotContain(cpiCurve.CpiRates, double.IsNaN);
+            foreach(var i in fic)
+            {
+                Assert.Equal(0, i.Pv(model, false), 8);
+            }
+        }
+
         [Fact]
         public void TestInflationPerfSwap()
         {